老师 能解释一下这道题是什么思路吗

问题如下：

Leonard Jennevin serves as a portfolio manager at Riviera Partners, a boutique investment firm. Jennevin is in charge of actively managing fixed-income portfolios, which consist primarily of investment-grade corporate bonds.

Over the past 12 months, the yield curve has been stable, concave, and upward sloping. The portfolio’s benchmark is a broad index with a duration of eight years. However, according to the investment mandate, Jennevin is not obligated to match the index’s duration. Jennevin outlines three potential approaches to constructing a client’s fixed-income portfolio: a barbell, a bullet, and a laddered portfolio. Jennevin assumes that both the barbell and bullet portfolios have the same duration. When determining the most suitable bond portfolio for a new client, he takes into account three potential scenarios regarding changes in the yield curve over the coming year:

l Scenario 1: instantaneous upward parallel shift of 100 basis points

l Scenario 2: no change in the shape of the yield curve

l Scenario 3: instantaneous “negative butterfly” twist

Under Scenario 2, which of the following portfolio construction strategies is most appropriate?

选项：

A.

Selling convexity

B.

Buying convexity

C.

Decreasing the portfolio’s duration

解释：

Correct Answer: A

If the curve is expected to remain stable, selling convexity (for example, by buying callable bonds and mortgage-backed securities) in order to obtain higher yield can be beneficial.

Answer B is incorrect as gaining additional convexity will not be beneficial in case of a stable curve. Answer C is incorrect as decreasing the portfolio’s duration (which will be associated with purchasing lower-yield bonds) would be beneficial in case of expected interest rate increases.